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By introducing fuzzy operators, we extend the traditional decision-theoretic rough set approach with crisp decisions to fuzzy concepts. Decision-theoretic rough set approach with fuzzy concepts is investigated based on fuzzy probabilistic approximation space. Bayesian decision procedure based on fuzzy probabilistic approximation space with fuzzy concepts and fuzzy probabilistic decision systems with fuzzy or continuous decision attributes are studied. The application of the proposed approach in decision making is also illustrated by an example. 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